Turning Wheel Capital, Inc. : Pure Alpha Aggressive

archived programs
Year-to-Date
N / A
Jan Performance
-2.76%
Min Investment
$ 5,000k
Mgmt. Fee
2.00%
Perf. Fee
25.00%
Annualized Vol
11.82%
Sharpe (RFR=1%)
0.92
CAROR
11.79%
Assets
$ 44.0M
Worst DD
-14.37
S&P Correlation
0.05

Growth of 1,000 - VAMI

Monthly Performance

Export Data
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD DD

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Period Returns

Program / Index Jan Qtr YTD 1yr 3yr 5yr 10yr Since
1/2012
Pure Alpha Aggressive -2.76 - - - - -1.21 - 57.65
S&P 500 -5.07 - - - - 50.84 - 164.00
+/- S&P 500 2.31 - - - - -52.06 - -106.35

Strategy Description

Summary

Short-term, quantitative, systematic managed futures program, traded across four major market sectors (Equity, Energy, Currency, Interest Rate)... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 5,000k
Trading Level Incremental Increase $ 5,000k
CTA Max Funding Factor 3.00
Management Fee 2.00%
Performance Fee 25.00%
Average Commission $5.00
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency Daily
Redemption Frequency Daily
Investor Requirements QEP
Lock-up Period 0

Trading

Trading Frequency 11000 RT/YR/$M
Avg. Margin-to-Equity 7%
Targeted Worst DD
Worst Peak-to-Trough -9.05%
Sector Focus Diversified Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 0%
1-30 Days 25.00%
Intraday 75.00%

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Counter-trend
25.00%
Momentum
25.00%
Other
50.00%
Strategy Pie Chart

Composition

Summary

Short-term, quantitative, systematic managed futures program, traded across four major market sectors (Equity, Energy, Currency, Interest Rate)

Investment Strategy

Peak Alpha trades multiple unique systems across strategies (momentum, counter-trend, specialty), directions, sub-24 hour timeframes, and volatility environments. This strategy is geared to generate alpha through ever-changing market conditions and inter-market correlation reversals. Peak Alpha aims to provide a genuinely non-correlated product with predictable returns that has no underlying bias.

Risk Management

Multi-layered at development-level, execution-level, and portfolio-level. Strategy includes per-trade, per-day, per-week and per-month loss limits. Methodology seeks to limit a variety of risks including: streak risk, gap risk, correlation events, market cycle risk.

   

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Reward
Average RoR:
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Risk
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Loss Deviation:
Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:
Reward
Compound RoR:
Average RoR:
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Average Gain:
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Risk
Standard Deviation:
Worst Loss:
Loss Frequency:
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Sharpe Ratio: (RF=1%)
Skewness:
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Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Note: Figures shown in the Monthly column are the greatest figures (or worst for losses/drawdowns) for any particular month. The Annual figures are the greatest for any calendar year.

Drawdown Report

Depth Length (Mos.) Recovery (Mos.) Peak Valley
-14.37 8 - 2/1/2015 10/1/2015
-9.05 5 2 6/1/2013 11/1/2013
-6.86 2 2 7/1/2012 9/1/2012
-5.50 1 1 4/1/2013 5/1/2013
-3.08 1 2 8/1/2014 9/1/2014
-0.13 1 1 1/1/2014 2/1/2014
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Consecutive Gains

Run-up Length (Mos.) Start End
31.75 7 10/1/2012 4/1/2013
15.26 7 1/1/2012 7/1/2012
13.44 5 10/1/2014 2/1/2015
10.73 6 3/1/2014 8/1/2014
10.33 2 12/1/2013 1/1/2014
8.82 2 11/1/2015 12/1/2015
6.69 1 6/1/2013 6/1/2013
1.90 1 7/1/2015 7/1/2015
1.52 1 4/1/2015 4/1/2015
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Consecutive Losses

Run-up Length (Mos.) Start End
-10.42 3 8/1/2015 10/1/2015
-9.05 5 7/1/2013 11/1/2013
-6.86 2 8/1/2012 9/1/2012
-5.50 1 5/1/2013 5/1/2013
-5.02 2 5/1/2015 6/1/2015
-3.08 1 9/1/2014 9/1/2014
-2.76 1 1/1/2016 1/1/2016
-2.71 1 3/1/2015 3/1/2015
-0.13 1 2/1/2014 2/1/2014
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year
Number of Periods49.0047.0044.0038.0032.0026.0014.00
Percent Profitable65.3163.8370.4586.84100.00100.00100.00
Average Period Return0.993.125.8713.7120.6928.6447.03
Average Gain2.967.0810.4716.2320.6928.6447.03
Average Loss-2.72-3.86-5.10-2.98
Best Period7.9513.4527.5631.1942.6142.8669.63
Worst Period-6.01-10.42-13.30-6.790.3310.1726.33
Standard Deviation3.416.269.2310.0211.0910.3014.03
Gain Standard Deviation2.223.556.408.0711.0910.3014.03
Loss Standard Deviation1.732.964.262.55
Sharpe Ratio (1%)0.270.460.581.271.732.593.14
Average Gain / Average Loss1.091.832.055.45
Profit / Loss Ratio2.053.244.8935.96
Downside Deviation (10%)2.093.514.683.092.120.02
Downside Deviation (5%)1.923.013.771.660.24
Downside Deviation (0%)1.882.893.551.36
Sortino Ratio (10%)0.280.540.732.826.181146.37
Sortino Ratio (5%)0.470.951.427.6479.70
Sortino Ratio (0%)0.531.081.6510.07

Top Performer Badges

Index Award Type Rank Performance Period

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.